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Impact of the Change in Market Conditions on a Test for Market Cointegration

시장여건의 변화가 시장통합의 검정에 미치는 영향

Kim, Tae-Ho
김태호

  • Received : 20101200
  • Accepted : 20101200
  • Published : 2011.02.28

Abstract

Current series for testing stock market cointegrations tend to be restricted to analyzing the relations between stock market prices and may not be able to understand the whole picture of the variations in the stock market system. The nature of the variations in the stock prices, between the countries that experienced economic crisis and those did not, are different for a certain period of time, and accordingly excluding the potentially important variables in the stock market system causes statistical bias. This study considers domestic foreign exchange markets and financial markets in testing for the cointegrating relations of the stock prices in Korea and major investing countries. The results demonstrate the possibility of specification errors unless those markets are included in the statistical modeling process.

Keywords

Stochastic trend;error structure;recursive residual

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